II-Fixed-Income Market-3 Flashcards Preview

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Flashcards in II-Fixed-Income Market-3 Deck (16):
1

【classification】by credit quality

1. investment bond 评级机构分类

2. 哪种bond更liquid?

1. Moody: Baa3, SP, Fitch: BBB-

2. investment grade more liquid

2

【classification】currency

一个bond价格受哪两个因素影响?

1. issuer credit quality

2. 发行货币国家的interest rate

美元标价bond受美国国内利率影响

3

【classification】interbank

1. Libor全称

2. ibor解释

3. 时长

4. 用途

1. London Interbank Offered Rates

2. the interest rate that a bank can borrow unsecured fund from other banks

3. a set of interest rates ranging from overnight to 1 year

4. 不仅作为floater的reference, 也作很多其他工具的reference, 如reference rate for interest rate of swaps

4

Fixed-Income Securities investors

1. 4类investors

2. dominated by?

3. what about retail investors

1. central banks/ SWFs/ institutional/ retail

2. institutional

3. 不直接参与,而是indirectly in mutual funds/ETF

5

【under public offerings】

6-step process

1. issuer确定需求情况:金额,发行方式-underwritten

2.找underwriter - investment bank. 金额大的syndicated offering

3. 涉及债权结构:价格,利息,paperwork,确定trustee

4. before subscription: 宣传路演询价:Grey market: a forward market for bonds about to be issued, 帮助determine bond price

5. subsription: 最好是a small oversubscription, large overscription对发行人不利

6. issue:发行前一日final terms才最终确定

6

bond issuence

shelf registration

特点3

1. low level of scrutiny

2. well-established issuers

3. only qualified institutional investors

7

bond secondary market

1. 对liquidity的理解2

2.an indicator of liquidity

3. settlement 

1. 能quickly买卖

2. 仅quickly还不够,需要价格贴近fair market value (报个特别高的价当然可以很快买入)

 

2. bid-offer spread/bid-ask spread 越小流动性越好

 

3. gov/quasi-gov: 现金T+0/ T+1

corp: T+2/ T+3

8

【soverign bonds】

1. on-the-run

2.benchmark issue

3. T-bills同T-bonds CF之区别

4. liquidity 的情况

1. 最近一期发行的

2. 最近一期发行的,因为变成了所有相关产品的benchmark

3. T-bills is typically zero-coupon discounted

T-bonds has coupons

4. on-the-run时最liquid,as they age, trade less frequently

9

【Quasi-Gov bonds】

特点

do not offer explicit gov guarantee,

but implicitly guarantee 

10

【Corp funding】-loans

1. bilateral/syndicated loan

2. loan的特点

1. bilateral: 一家银行对一家企业贷款

syndicated: 多家银行对一家企业

2. loan more expensive than bonds issued in capital markets

11

【Corp fund】-Commercial Paper

1. 特点3

2.解释rollover-risk及解决

3. 流动性情况

1.unsecured, low cost, 用于短期搭桥working cap等

2. risk that the firm cannot issue new paper at maturity,解决: backup lines of credit from banks

3. 投资人一般持有至到期,故虽然量大,但little secondary market

12

【Corp fund】-CP

comparison  between

USCP

EuroCommercial Paper

Q image thumb

注意二者收益率之不同

A image thumb
13

【Structured Instruments】

1. Capital Protected 

2. Yield Enhancement

3. Participation Instruments

4. Leveraged Instruments 

1. 融资来100w,用90w买par100w T-bill,即确保一年后可拿到100,剩下10可投资期权类产品,即使赔光也可保本

2. credit-linked note(CLN): 高coupon rate, 原可卖1061,现卖999,高coupon,但credit event一旦发生如firm信用评级下降,则本金拿不回par. 如果credit event没有发生,那收益就更高。一种对赌

3. floating-rate note就是一种participation,别的类似收益绑定一种asset或index。不保本

4. reverse float: C- (L*R) L大于一:Leveraged,小于一:deleveraged

14

银行可用的短期

funding instruments

3大类

1. retail deposits

2. wholesale funds:

central bank reserve

interbank fund

negotiable certificates of deposit CD

3. Repurchase agreements REPO

15

1. interbank fund 特点

2.CD: 辨析negotiable/non

3. Repo: 描述risk

4. repo margin又叫做,=

1. unsecured

2. non: if depositor withdraw early - penalty

negotiable: can trade in open market

3. 双方都有压力,borrower怕抵押物价值上升,资金方不回售。资金方怕抵押物价值下降,borrower不要了

4.haircut. repo margin= (抵押物市场价-贷出借款额)/抵押物市场价

 

16

【classification】 by issuer

1. 3 major bond market sector

2. 几种issuer发行量?

1. gov,gov related/ corporate/ structured finance sector

2. gov/ financial corp 发行量大

non-financial corp 发行量相对小